A Sieve Bootstrap for the Test of a Unit Root1
نویسندگان
چکیده
In this paper, we consider a sieve bootstrap for the test of a unit root in models driven by general linear processes. The given model is ...rst approximated by a ...nite autoregressive integrated process of order increasing with the sample size, and then the method of bootstrap is applied for the approximated autoregression to obtain the critical values for the usual unit root tests. The resulting tests, which may simply be viewed as the bootstrapped versions of Augmented-Dickey-Fuller (ADF) unit root tests by Said and Dickey (1984), are shown to be consistent under very general conditions. The asymptotic validity of the bootstrap ADF unit root tests is thus established. Our conditions are signi...cantly weaker than those used by Said and Dickey. Simulations show that bootstrap provides substantial improvements on ...nite sample sizes of the tests. This version: February, 2001
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